What type of storage device can I undelete from?

Any local device that Windows can see in Windows File Explorer, is allocated a drive letter, and is formatted with FAT or NTFS. For example, hard drives (internal and external), flash cards, Smart Media (SM), SONY Memory Sticks, IBM Micro Drives, Multimedia Cards (MMC), Secure Digital Cards (SD), etc.

You cannot undelete from a mapped network drive, nor from anything that mounts as a portable device without a drive letter (as per paragraphs 2-5 here).